| Metric |
Strategy |
SPX |
|---|
| Trade Count |
168 |
1 |
| Win/Loss rate |
81 / 87 = 0.93 |
- |
| Adjustments |
0 |
- |
| PT Hits |
0 |
- |
| SL Hits |
0 |
- |
| Max DIT Reaches |
155 |
- |
| Settlements |
0 |
- |
| Avg Days in Trade |
6.71 |
1395 |
| Cumulative Return |
294.41% |
54.71% |
| CAGR |
43.2% |
12.1% |
| Max Drawdown |
-36.06% |
-32.69% |
| Sharpe |
1.06 |
0.68 |
| Alpha |
0.43 |
- |
| Beta |
0.03 |
- |
| Kelly Criterion |
7.6 |
-16.32 |
| Profit Factor |
1.55 |
1.13 |
| Probabilistic Sharpe |
99.84% |
90.56% |
| Smart Sharpe |
1.04 |
0.67 |
| Annual Volatility |
40.61% |
19.74% |
| Omega |
1.55 |
- |
| Information ratio |
0.04 |
- |
| Avg Drawdown |
-3.02% |
-1.75% |
| Avg Drawdown Days |
18 |
13 |
| Avg Up Month |
4.93 |
3.37 |
| Avg Down Month |
-3.7% |
-6.56% |
| R^2 |
0 |
0 |
| Calmar |
1.2 |
0.37 |
| Treynor |
9621.53 |
- |